Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Applied Mathematics
An Economic Regression Model To Predict Market Movements, Timothy A. Smith, Andrew Hawkins
An Economic Regression Model To Predict Market Movements, Timothy A. Smith, Andrew Hawkins
Publications
In finance, multiple linear regression models are frequently used to determine the value of an asset based on its underlying traits. We built a regression model to predict the value of the S&P 500 based on economic indicators of gross domestic product, money supply, produce price and consumer price indices. Correlation between the error in this regression model and the S&P’s volatility index (VIX) provides an efficient way to predict when large changes in the price of the S&P 500 may occur. As the true value of the S&P 500 deviates from the predicted value, obtained by the regression model, …